Pricing European lookback option by a special kind of mixed jump-diffusion model

DOI10.3969/J.ISSN.1000-5641.2017.04.001zbMath1399.91125OpenAlexW2993918364MaRDI QIDQ4640420

Zhaoqiang Yang

Publication date: 25 May 2018

Full work available at URL: https://xblk.ecnu.edu.cn/EN/article/downloadArticleFile.do?attachType=PDF&id=25417

zbMATH Keywords

European lookback optionmixed jump-diffusion fractional Brownian motionfractional Wick-Itô-Skorohod integralMerton assumptions

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

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